Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0177
Annualized Std Dev 0.3721
Annualized Sharpe (Rf=0%) 0.0476

Row

Daily Return Statistics

Close
Observations 3743.0000
NAs 1.0000
Minimum -0.2019
Quartile 1 -0.0108
Median 0.0002
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0113
Maximum 0.1665
SE Mean 0.0004
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0011
Variance 0.0005
Stdev 0.0234
Skewness 0.1306
Kurtosis 6.6357

Downside Risk

Close
Semi Deviation 0.0164
Gain Deviation 0.0176
Loss Deviation 0.0169
Downside Deviation (MAR=210%) 0.0208
Downside Deviation (Rf=0%) 0.0162
Downside Deviation (0%) 0.0162
Maximum Drawdown 0.8707
Historical VaR (95%) -0.0353
Historical ES (95%) -0.0542
Modified VaR (95%) -0.0342
Modified ES (95%) -0.0473
From Trough To Depth Length To Trough Recovery
2006-05-08 2009-03-06 2020-02-20 -0.8707 3471 713 2758
2020-02-21 2020-03-23 2020-07-27 -0.5210 109 22 87
2020-10-16 2020-11-09 2021-01-20 -0.1334 65 17 48
2021-02-09 2021-03-04 2021-03-15 -0.0958 24 17 7
2020-08-25 2020-09-08 2020-10-01 -0.0733 27 10 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA 1.5 -1 -0.1 0.1 -2.3 -1.5 0.5 -0.1 -2.9
2007 0.9 0.4 -1 1 -1.5 -1.4 -1.8 2.5 4.4 -4.7 5.3 2.2 6.2
2008 3.1 -6.5 4.5 3.7 -1.2 -0.3 -0.8 0.8 1.1 9.1 -13 2.2 0.7
2009 -4.1 -3.5 2.6 -2.6 3 0.2 1.6 -3.5 -4.4 -3.1 1.7 -0.7 -12.4
2010 0.2 1.5 -0.1 -1.2 -3.6 -0.8 0.5 3.6 -0.3 -0.3 3.8 -0.5 2.6
2011 1.3 -2.9 0.5 0.4 -3 2.2 -0.8 -2.4 -3.8 -3.5 0.3 -0.8 -11.8
2012 2.8 -0.4 -1.5 1.2 -6.2 4.2 -1.1 1.4 -0.4 2.7 -0.4 2.7 4.7
2013 -1.3 0.5 -1.6 -1.5 -1.5 0.4 0 -1.9 0.6 -0.9 -0.6 0.6 -7.1
2014 1.8 -0.6 1.6 0.9 -0.6 1.2 -0.3 0.4 -1 0.1 -1.4 0.8 2.9
2015 -2 0.1 -0.4 1.5 0.6 0.7 0.7 -2.6 1.3 0.9 1.4 -0.9 1.4
2016 -0.9 2.7 0 -0.7 0.4 0.8 0.2 -0.5 0.5 -1.2 -1.3 -0.9 -0.8
2017 -0.1 2.6 0 -0.1 1.4 1.6 1.6 0.3 1 0.6 0.7 -0.5 9.5
2018 -0.3 0.3 1.3 1.3 0.4 0.9 -0.6 0 -0.4 3.1 -0.3 0.2 6
2019 -0.4 -0.3 0.5 -0.1 -1.8 0.5 0.4 0.1 -1 1.9 -0.6 0.2 -0.5
2020 -2.3 -2.9 -8.1 -1.9 0.2 -2.4 -0.5 3 2 -1.4 -1.4 -1.4 -16.2
2021 1.7 1.6 1.2 NA NA NA NA NA NA NA NA NA 4.6

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart